Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0400 |
| Annualized Std Dev | 0.1948 |
| Annualized Sharpe (Rf=0%) | 0.2055 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5207.0000 |
| NAs | 1.0000 |
| Minimum | -0.1087 |
| Quartile 1 | -0.0054 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0064 |
| Maximum | 0.1211 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.0351 |
| Kurtosis | 11.9160 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0096 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0088 |
| Downside Deviation (0%) | 0.0088 |
| Maximum Drawdown | 0.5636 |
| Historical VaR (95%) | -0.0177 |
| Historical ES (95%) | -0.0294 |
| Modified VaR (95%) | -0.0171 |
| Modified ES (95%) | -0.0185 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-29 | 2002-10-09 | 2006-12-01 | -0.5636 | 1488 | 443 | 1045 |
| 2007-12-11 | 2009-03-09 | 2014-04-16 | -0.4964 | 1598 | 312 | 1286 |
| 2020-02-19 | 2020-03-23 | NA | -0.3618 | 275 | 24 | NA |
| 2015-01-30 | 2015-09-04 | 2016-04-01 | -0.1769 | 295 | 152 | 143 |
| 2017-11-15 | 2018-02-08 | 2018-12-06 | -0.1567 | 266 | 58 | 208 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | -2.9 | -0.1 | 0.5 | 0.5 | 1.5 | -0.4 | -0.8 | -1.7 |
| 2001 | -1.2 | 0.6 | 2.2 | -0.3 | -0.8 | -0.4 | 0.7 | 0.2 | -0.4 | -0.1 | -0.8 | 0.1 | -0.3 |
| 2002 | 0.7 | 1.4 | -0.7 | 0.1 | -0.4 | -2.1 | -2 | -0.2 | 2.7 | 0.3 | -0.8 | 0.1 | -1 |
| 2003 | 0.1 | -0.7 | 0.8 | -0.7 | 1.4 | -0.4 | -1.4 | -0.5 | 0.7 | -0.1 | 0.8 | 0.1 | 0.1 |
| 2004 | -0.2 | 1 | 0.4 | -0.1 | -0.5 | -0.9 | 0.3 | 0.2 | 0.8 | 0.6 | -0.6 | -0.5 | 0.6 |
| 2005 | 0.9 | 0.5 | 0.4 | 1.2 | 1 | 1 | -1 | 1.3 | -0.1 | -1.8 | 0.9 | -0.2 | 4.2 |
| 2006 | 0.1 | -0.1 | -0.5 | -0.7 | 1.2 | 0.4 | 1 | 0 | -0.8 | 0.5 | 0.4 | -0.3 | 1.1 |
| 2007 | 0.8 | 0.4 | -0.6 | 1 | -0.4 | 0.2 | 2.6 | 0.5 | 1.5 | -1.9 | 0.4 | -1 | 3.3 |
| 2008 | 1.6 | -2.8 | 2.2 | 1 | 0 | 0.6 | -2.5 | -1.5 | 0.9 | -1.1 | -6.7 | 1.9 | -6.5 |
| 2009 | -2.4 | -1.6 | -0.2 | 2 | 3.3 | 1.6 | -0.9 | -0.8 | -1.8 | -2 | 1.6 | -1.4 | -2.7 |
| 2010 | 0.8 | 1.2 | 1.1 | 0.2 | -2.2 | -0.3 | -0.5 | 2.3 | 0.7 | -0.9 | 1.2 | -0.1 | 3.4 |
| 2011 | 1.1 | -0.7 | 0.7 | 0.3 | -1 | 1.2 | 0.3 | -0.4 | -1 | -2.2 | 0 | -0.7 | -2.4 |
| 2012 | 0.4 | 0.2 | 0.3 | 0.5 | -0.5 | 0.5 | -0.8 | -0.2 | -0.4 | -0.8 | 0.8 | 1.3 | 1.4 |
| 2013 | 0.4 | 0.2 | -0.2 | -1.1 | -0.6 | -1.3 | 0.9 | -0.3 | 0.4 | 0.6 | -0.1 | 0.2 | -0.8 |
| 2014 | 0.7 | 0.7 | -0.6 | 0.4 | 0.8 | -0.9 | 0.4 | 0.7 | 0.4 | 0 | 0 | -1.9 | 0.6 |
| 2015 | -2.5 | 0 | 0.1 | 0.5 | 0.2 | 0.5 | 0.9 | -2.7 | -1.1 | 0.5 | 0.7 | -1 | -3.9 |
| 2016 | 1 | -0.4 | 0.5 | 0.6 | 0.3 | -0.1 | -0.1 | -0.4 | -0.7 | -1.9 | -0.8 | -0.6 | -2.5 |
| 2017 | -1.8 | -0.8 | 0.3 | -0.5 | 0.7 | -0.2 | 0.5 | -0.2 | -0.3 | -0.7 | -0.4 | 0 | -3.2 |
| 2018 | -1.6 | 0.1 | 0.5 | -0.3 | -1.5 | 0.1 | -0.8 | -0.4 | -0.4 | -0.3 | 1.4 | 0.3 | -2.8 |
| 2019 | -0.3 | 0.3 | -0.6 | -1 | 0.5 | -0.2 | 0.9 | 0.1 | -0.3 | -0.2 | -0.2 | 0.5 | -0.6 |
| 2020 | -0.4 | -3.9 | -6 | -2.4 | 1.1 | 2.2 | 0.1 | -1.1 | 0.8 | -0.9 | 0.6 | 1.5 | -8.4 |
| 2021 | 0.6 | 2.1 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-06-20 34.3 SPY 148. -3.60e-3 0.0023 0.0483 -0.0084 0.107 NA NA <NA> NA NA NA
2 2000-06-21 34.8 SPY 148. -6.00e-4 0 0.0556 -0.015 0.111 NA NA <NA> NA NA NA
3 2000-06-22 34.2 SPY 146. -1.50e-2 -0.0171 0.0553 -0.0451 0.103 NA NA <NA> NA NA NA
4 2000-06-26 34.2 SPY 146. 1.29e-2 -0.015 0.0609 -0.0375 0.0969 NA NA <NA> NA NA NA
5 2000-06-27 33.5 SPY 145. -7.40e-3 -0.0188 0.0519 -0.0391 0.0787 NA NA <NA> NA NA NA
6 2000-06-28 33.5 SPY 146. 2.80e-3 -0.0154 0.0199 -0.0374 0.0625 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
